Giovanni Barone-Adesi

University of Lugano

Professor

Via Buffi 13

CH-6904 Lugano

Switzerland

Swiss Finance Institute

c/o University of Geneva

40 Bd du Pont-d'Arve

CH-1211 Geneva 4

Switzerland

SCHOLARLY PAPERS

38

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71

CROSSREF CITATIONS

64

Scholarly Papers (38)

A GARCH Option Pricing Model with Filtered Historical Simulation

Review of Financial Studies, 2008
Number of pages: 54 Posted: 15 Oct 2004 Last Revised: 29 Apr 2008
Giovanni Barone-Adesi, Robert F. Engle and Loriano Mancini
University of Lugano, New York University - Leonard N. Stern School of Business - Department of Economics and USI Lugano - Institute of Finance
Downloads 3,072 (3,784)
Citation 41

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Option pricing, GARCH model, state price density, Monte Carlo simulation

A GARCH Option Pricing Model with Filtered Historical Simulation

The Review of Financial Studies, Vol. 21, Issue 3, pp. 1223-1258, 2008
Posted: 02 Jul 2008
Giovanni Barone-Adesi, Robert F. Engle and Loriano Mancini
University of Lugano, New York University - Leonard N. Stern School of Business - Department of Economics and USI Lugano - Institute of Finance

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2.

Estimating Sentiment, Risk Aversion, and Time Preference from Behavioral Pricing Kernel Theory

Swiss Finance Institute Research Paper No. 12-21
Number of pages: 47 Posted: 18 May 2012 Last Revised: 20 Mar 2017
Giovanni Barone-Adesi, Loriano Mancini and Hersh Shefrin
University of Lugano, USI Lugano - Institute of Finance and Santa Clara University - Leavey School of Business
Downloads 1,411 (13,954)
Citation 6

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Sentiment, Pricing Kernel, Optimism, Overconfidence, Option Data

3.

An Option Pricing Formula for the GARCH Diffusion Model

EFMA 2004 Basel Meetings Paper
Number of pages: 31 Posted: 13 May 2004
Giovanni Barone-Adesi, Henrik Rasmussen and Claudia Ravanelli
University of Lugano, J.P. Morgan and Co. and Center for Finance and Insurance
Downloads 1,109 (20,068)
Citation 6

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Option pricing, Stochastic volatility models, GARCH models, implied volatility, Monte Carlo methods

4.

Electricity Derivatives

Number of pages: 15 Posted: 07 May 2002
Giovanni Barone-Adesi and Andrea Gigli
University of Lugano and Universita della Svizzera Italiana - Institute of Finance
Downloads 909 (26,886)
Citation 3

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Electricity derivatives, risk-neutral valuation

5.

On the Lease Rate, Convenience Yield and Speculative Effects in the Gold Futures Market

Swiss Finance Institute Research Paper No. 09-07
Number of pages: 36 Posted: 21 Mar 2009 Last Revised: 06 Sep 2010
Giovanni Barone-Adesi, Hélyette Geman and John Theal
University of Lugano, University of London - Economics, Mathematics and Statistics and Banque Centrale du Luxembourg
Downloads 829 (30,647)
Citation 4

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gold futures market, convenience yield, gold lease rate, speculative pressure

6.

Pricing Bonds and Bond Options with Default Risk

Number of pages: 43 Posted: 05 Mar 2004
Emilio Barone, Giovanni Barone-Adesi and Antonio Castagna
Luiss - Guido Carli (Dpt. of Economics and Finance), University of Lugano and Iason Ltd.
Downloads 807 (31,822)
Citation 2

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7.

Sentiment, Asset Prices, and Systemic Risk

Swiss Finance Institute Research Paper No. 11-50
Number of pages: 31 Posted: 03 Nov 2011 Last Revised: 21 Mar 2012
Giovanni Barone-Adesi, Loriano Mancini and Hersh Shefrin
University of Lugano, USI Lugano - Institute of Finance and Santa Clara University - Leavey School of Business
Downloads 719 (37,193)
Citation 5

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systemic risk, marginal expected shortfall, pricing kernel, overconfidence, optimism

8.

The Relationship Between Credit Default Swap and Cost of Equity Capital

Swiss Finance Institute Research Paper No. 10-49
Number of pages: 57 Posted: 05 Dec 2010
Giovanni Barone-Adesi and Moreno Brughelli
University of Lugano and University of Lugano - Institute of Finance
Downloads 419 (74,147)

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Asset Pricing, Cost of Capital, Implied Cost of Capital, Analysts' Forecasts, Discount Rate, Firm Valuation

9.

A Tale of Two Investors: Estimating Optimism and Overconfidence

26th Australasian Finance and Banking Conference 2013
Number of pages: 50 Posted: 02 Sep 2013
Giovanni Barone-Adesi, Loriano Mancini and Hersh Shefrin
University of Lugano, USI Lugano - Institute of Finance and Santa Clara University - Leavey School of Business
Downloads 415 (75,026)
Citation 5

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Sentiment, Pricing Kernel, Optimism, Overconfidence

10.

Managing the Risks of Corporate Bond Portfolios: New Evidence in the Light of the Sub‐Prime Crisis

Swiss Finance Institute Research Paper No. 12-04
Number of pages: 54 Posted: 11 Feb 2012
Giovanni Barone-Adesi, Nicola Carcano and Hakim Dall'O
University of Lugano, University of Lugano and Swiss Finance Institute at the University of Lugano
Downloads 349 (91,659)
Citation 3

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hedging, corporate bonds, model errors

11.
Downloads 335 ( 95,919)
Citation 6

Is the Price Kernel Monotone?

Swiss Finance Institute Research Paper No. 10-03
Number of pages: 33 Posted: 24 Jan 2010 Last Revised: 07 May 2010
Giovanni Barone-Adesi and Hakim Dall'O
University of Lugano and Swiss Finance Institute at the University of Lugano
Downloads 262 (124,354)
Citation 3

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Pricing kernel, State price density per unit probability, Risk neutral, Historical distribution.

Is the Price Kernel Monotone?

Number of pages: 30 Posted: 21 Jan 2010
Giovanni Barone-Adesi and Hakim Dall'O
University of Lugano and Swiss Finance Institute at the University of Lugano
Downloads 73 (346,895)
Citation 6

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Pricing kernel, State price density per unit probability

12.

Average Conditional Correlation and Tree Structures for Multivariate GARCH Models

Number of pages: 36 Posted: 03 Jun 2004
Francesco Audrino and Giovanni Barone-Adesi
University of St. Gallen and University of Lugano
Downloads 327 (98,529)
Citation 7

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Multivariate GARCH models,Dynamic conditional correlations,Tree-structured GARCH models, Model confidence set approach

13.

Homogeneity Hypothesis in the Context of Asset Pricing Models: The Quadratic Market Model

Cass Business School Research Paper
Number of pages: 14 Posted: 14 Mar 2001
Giovanni Barone-Adesi, Patrick Gagliardini and Giovanni Urga
University of Lugano, University of Lugano and Cass Business School, Faculty of Finance, London, UK and Bergamo University, Italy
Downloads 310 (104,501)
Citation 5

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Asset pricing models, panel

14.

VaR and CVaR Implied in Option Prices

Swiss Finance Institute Research Paper No. 15-45
Number of pages: 11 Posted: 27 Nov 2015 Last Revised: 15 Oct 2016
Giovanni Barone-Adesi
University of Lugano
Downloads 281 (116,132)
Citation 4

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15.

The Keys of Predictability: A Comprehensive Study

Swiss Finance Institute Research Paper No. 19-15
Number of pages: 69 Posted: 21 Mar 2019 Last Revised: 04 Apr 2019
Giovanni Barone-Adesi, Antonietta Mira and Matteo Pisati
University of Lugano, Università della Svizzera italiana - InterDisciplinary Institute of Data Science and Universita' della Svizzera Italiana
Downloads 270 (121,128)

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Markets Predictability, Machine Learning, Model Selection

16.

A Multivariate Fgd Technique to Improve VAR Computation in Equity Markets

Number of pages: 30 Posted: 15 Jan 2003
Francesco Audrino and Giovanni Barone-Adesi
University of St. Gallen and University of Lugano
Downloads 256 (128,105)
Citation 3

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Volatility estimation, Filtered Historical Simulation, Value-at-Risk

17.

Greed and Fear: The Nature of Sentiment

Swiss Finance Institute Research Paper No. 18-45
Number of pages: 114 Posted: 15 Jun 2018
Giovanni Barone-Adesi, Matteo Pisati and Carlo Sala
University of Lugano, Universita' della Svizzera Italiana and ESADE Business School
Downloads 244 (134,439)

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sentiment, uncertainty, fear, markets predictability, anomalies

18.

WTI Crude Oil Option-Implied VaR and CVaR: An Empirical Application

Journal of Forecasting, Volume 38, Issue 6, Pages 552-563, Forthcoming , Swiss Finance Institute Research Paper No. 16-53
Number of pages: 25 Posted: 24 Feb 2016 Last Revised: 13 Aug 2019
Giovanni Barone-Adesi, Marinela Adriana Finta, Chiara Legnazzi and Carlo Sala
University of Lugano, Singapore Management University, Swiss Finance Institute and ESADE Business School
Downloads 239 (137,203)
Citation 4

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Option Prices, Risk Measures, VaR and CVaR, Elicitability

19.

'Estimating Sentiment, Risk Aversion, and Time Preference from Behavioral Pricing Kernel Theory': Online Appendix

Number of pages: 60 Posted: 22 Jul 2013 Last Revised: 20 Mar 2017
Giovanni Barone-Adesi, Loriano Mancini and Hersh Shefrin
University of Lugano, USI Lugano - Institute of Finance and Santa Clara University - Leavey School of Business
Downloads 190 (170,407)
Citation 3

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Sentiment, Pricing Kernel, Optimism, Overconfidence, Option Data

20.

The Impact of Misalignment of Beliefs on the Estimation of the Pricing Kernel

Swiss Finance Institute Research Paper No. 15-66
Number of pages: 41 Posted: 23 Jan 2016 Last Revised: 12 Aug 2019
Giovanni Barone-Adesi, Nicola Fusari, Carlo Sala and Antonietta Mira
University of Lugano, Johns Hopkins University - Carey Business School, ESADE Business School and Università della Svizzera italiana - InterDisciplinary Institute of Data Science
Downloads 189 (171,242)
Citation 1

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Conditional Physical Measure, Pricing Kernel, Option Data, S&P 500

21.

Capital Levels and Risk-Taking Propensity in Financial Institutions

Accounting and Finance Research, 3 (1), 85-89, (2014) , Swiss Finance Institute Research Paper No. 13-33
Number of pages: 11 Posted: 08 Jun 2013 Last Revised: 09 Jan 2020
Giovanni Barone-Adesi, Walter Farkas and Pablo Koch-Medina
University of Lugano, University of Zurich - Department of Banking and Finance and University of Zurich - Department of Banking and Finance
Downloads 186 (173,749)

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risk propensity, net tangible value, default option, franchise value

22.

A Bayesian Estimate of the Pricing Kernel

Swiss Finance Institute Research Paper No. 16-14
Number of pages: 47 Posted: 19 Feb 2016 Last Revised: 28 Oct 2017
Giovanni Barone-Adesi, Chiara Legnazzi and Antonietta Mira
University of Lugano, Swiss Finance Institute and Università della Svizzera italiana - InterDisciplinary Institute of Data Science
Downloads 185 (174,583)

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Pricing Kernel, pricing kernel puzzle, Poisson-Dirichlet Process

23.

Option-Implied Risk Measures: An Empirical Examination on the S&P500 Index

International Journal of Finance and Economics, Forthcoming
Number of pages: 46 Posted: 16 Apr 2018 Last Revised: 03 Apr 2020
Giovanni Barone-Adesi, Chiara Legnazzi and Carlo Sala
University of Lugano, Swiss Finance Institute and ESADE Business School
Downloads 176 (182,528)
Citation 1

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Option Prices, VaR and CVaR, Long and Short-term Risk Measures, S&P 500 Index

24.

Sentiment Lost: The Effect of Projecting the Empirical Pricing Kernel onto a Smaller Filtration Set

Swiss Finance Institute Research Paper No. 15-58
Number of pages: 33 Posted: 02 Oct 2015 Last Revised: 03 Aug 2018
Carlo Sala and Giovanni Barone-Adesi
ESADE Business School and University of Lugano
Downloads 112 (261,691)
Citation 3

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Empirical Pricing Kernel, Real World Measure, Fundamental Theorems of Asset Pricing, Risk Premium, Semimartingale

25.

Conditioning the Information in Portfolio Optimization

Swiss Finance Institute Research Paper No. 15-50, 29th Australasian Finance and Banking Conference 2016
Number of pages: 32 Posted: 16 Oct 2015 Last Revised: 10 Nov 2016
Carlo Sala and Giovanni Barone-Adesi
ESADE Business School and University of Lugano
Downloads 106 (272,011)

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Portfolio optimization problem, Levy-Ito mixed model, Pricing kernel, Information premium, Optimal bounds

26.

On the Use of Equities in Target Date Funds

Swiss Finance Institute Research Paper No. 20-24
Number of pages: 20 Posted: 22 Apr 2020
Giovanni Barone-Adesi, Eckhard Platen and Carlo Sala
University of Lugano, University of Technology, Sydney (UTS) - Finance Discipline Group and ESADE Business School
Downloads 60 (380,280)

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Hedging, target date funds, dynamic investment policies

27.

Testing Market Efficiency With the Pricing Kernel

European Journal of Finance, 2019, Swiss Finance Institute Research Paper No. 19-77
Number of pages: 45 Posted: 01 Aug 2019 Last Revised: 02 Jan 2020
Giovanni Barone-Adesi and Carlo Sala
University of Lugano and ESADE Business School
Downloads 48 (420,872)
Citation 2

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market information; market efficiency; pricing kernel; fundamental theorems of asset pricing; dominating trading strategies

28.

Backtesting Derivative Portfolios with Filtered Historical Simulation (Fhs)

European Financial Management, Vol. 8, pp. 31-58, 2002
Number of pages: 28 Posted: 24 Apr 2002
Giovanni Barone-Adesi, Kostas Giannopoulos and Les Vosper
University of Lugano, Neapolis University, Pafos and LCH.Clearnet (Retired)
Downloads 32 (487,932)
Citation 3
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29.

Estimating the Joint Tail Risk Under the Filtered Historical Simulation. An Application to the CCP's Default and Waterfall Fund

Swiss Finance Institute Research Paper No. 15-12
Posted: 04 Apr 2015
Giovanni Barone-Adesi, Kostas Giannopoulos and Les Vosper
University of Lugano, Neapolis University, Pafos and LCH.Clearnet (Retired)

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Central counterparty risk management, filtered historical simulation, stress testing, tail dependency.

30.

Non-Parametric VAR Techniques: Myths and Realities

Economic Notes, 30, July, 167-181
Posted: 28 Aug 2012
Kostas Giannopoulos and Giovanni Barone-Adesi
Neapolis University, Pafos and University of Lugano

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market risk, non parametric, filtered historical simulation

31.

The Stability of Factor Models of Interest Rates

Journal of Financial Econometrics, Vol. 3, No. 3, pp. 422-441, 2005
Posted: 29 Feb 2008
Francesco Audrino, Giovanni Barone-Adesi and Antonietta Mira
University of St. Gallen, University of Lugano and University of Insubria - Department of Economics

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factor analysis, FGD, robust regression, term structure

32.

Barrier Option Pricing Using Adjusted Transition Probabilities

https://doi.org/10.3905/JOD.2008.16.2.036, Swiss Finance Institute Research Paper No. 07-02
Posted: 22 Feb 2007
Giovanni Barone-Adesi, Nicola Fusari and John Theal
University of Lugano, Johns Hopkins University - Carey Business School and Banque Centrale du Luxembourg

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barrier option, binomial tree, convergence rate, transition probability

33.

On the Use of Implied Volatilities in the Prediction of Successful Corporate Takeovers

ADVANCES IN FUTURES AND OPTIONS RESEARCH, Volume 7, 1994
Posted: 23 Dec 1999
Keith C. Brown, Giovanni Barone-Adesi and W. Van Harlow
University of Texas at Austin - Department of Finance, University of Lugano and Fidelity Investments

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On the Use of Implied Stock Volatilities in the Prediction of Successful Corporate Takeovers

Posted: 10 Sep 1999
Giovanni Barone-Adesi, Keith C. Brown and W. Van Harlow
University of Lugano, University of Texas at Austin - Department of Finance and Fidelity Investments

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35.

Alm in Banks

Posted: 06 Jan 1999
Giovanni Barone-Adesi
University of Lugano

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36.

Call Policies with Flotation Costs: A Dog Chasing its Tail

Rodney L. White Center for Financial Research Working Paper No. 12-95
Posted: 10 Oct 1998
Giovanni Barone-Adesi and Francisco A. Delgado
University of Lugano and University of Colorado at Boulder - Leeds School of Business

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37.

Capital Structure, Call Policies and Flotation Costs: A Dog Chasing its Tail

Rodney L. White Center for Financial Research Working Paper Series Paper #22-95 (This paper is a revision of Working Paper #12-95 ("Call Policies with Flotation Costs: A Dog Chasing Its Tail")
Posted: 05 Jul 1998
Francisco A. Delgado and Giovanni Barone-Adesi
University of Colorado at Boulder - Leeds School of Business and University of Lugano

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38.

Pricing Bonds and Bond Options Under Default Risk

European Financial Management, Vol 4, No 2, July 1998
Posted: 15 Jun 1998
Emilio Barone, Giovanni Barone-Adesi and Antonio Castagna
Luiss - Guido Carli (Dpt. of Economics and Finance), University of Lugano and Iason Ltd.

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